https://github.com/aurelienperez/deep-hedging

Deep Hedging under market frictions.
https://github.com/aurelienperez/deep-hedging

black-scholes deep-hedging hedging heston

Last synced: 6 months ago
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Deep Hedging under market frictions.

• Host: GitHub
• URL: https://github.com/aurelienperez/deep-hedging
• Owner: aurelienperez
• License: mit
• Created: 2025-03-21T23:25:01.000Z (7 months ago)
• Default Branch: main
• Last Pushed: 2025-04-01T20:35:00.000Z (6 months ago)
• Last Synced: 2025-04-01T21:24:18.686Z (6 months ago)
• Topics: black-scholes, deep-hedging, hedging, heston
• Language: Jupyter Notebook
• Homepage:
• Size: 1.78 MB
• Stars: 0
• Watchers: 1
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

          
# Deep Hedging under Market Frictions

This project compares two hedging strategies in the presence of transaction costs:

- **Delta Hedging** (Black-Scholes-based)

- **Deep Hedging** (neural networks trained to minimise hedging risk)

The goal is to evaluate the performance of data-driven hedging under realistic market frictions.

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## Structure

- `src/`: simulation and strategy code

- `notebooks/`: result visualisations